Conditional expectation and iterated means
E[X|Y=y] averages X using its conditional law.
Key knowledge
E[X|Y=y] averages X using its conditional law. E[X|Y] is therefore a random variable depending on Y; for integrable X it satisfies E[E[X|Y]]=E[X].
Conditions and scope
- Conditional values are specified only where the conditional law is defined, up to probability-zero changes.
- Integrability prevents undefined differences of infinite means.
Sources · 1
References
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Evidence and review
Section 4.3 properties of conditional expectation and law of iterated expectations.
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Entry details
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- math-conditional-expectation
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- university-core.1
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- University core expansion